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What Do Short-Sellers Know?- Zhang Xiaoyan's Paper Received the Spängler-IQAM Award for the Best Investments Paper in the Review of Finance

Time: 2021-09-14 11:32 Print

At the annual meeting of the European Finance Association (EFA), What Do Short-Sellers Know, co-authored by Zhang Xiaoyan, professor and associate dean of Tsinghua PBCSF, and the co-authors Ekkehart Boehmer, Charles Jones, Julie Wu, received the Spängler-IQAM award for the Best Investments Paper in the Review of Finance. 

The award was presented by the Review of Finance. The paper was nominated by the editorial board. And the recipients were the authors of the most outstanding paper on investment published for the year.

Using NYSE short-sale order data, the paper investigates whether short sellers’ informational advantage is related to firm earnings and analyst-related events. With a novel decomposition method, the paper finds that while these fundamental event days constitute only 12% of sample days, they account for over 24% of the overall underperformance of heavily shorted stocks. Importantly, short sellers use both public news and private information to anticipate news regarding earnings and analysts. Shorting’s predictive ability remains significant after controlling for information in analyst actions and displays no reversal patterns, indicating that short sellers know more than analysts, and the nature of their information is long term.

Zhang Xiaoyan


Xiaoyan Zhang is the Xinyuan Chair Professor of Finance and Associate Dean at PBC School of Finance, Tsinghua University. She is also the Deputy Director of National Institute of Financial Research and Institute of Fintech Research at Tsinghua University, and the director of Xinyuan Fintech Research Center. Zhang Xiaoyan's main research areas include international finance, empirical asset pricing, applied econometrics, and financial technology.